Optimal consumption and equilibrium prices with portfolio constraints and stochastic income
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Publication:1363524
DOI10.1006/JETH.1996.2207zbMATH Open0883.90050OpenAlexW2768156240MaRDI QIDQ1363524FDOQ1363524
Authors: Domenico Cuoco 
Publication date: 23 March 1998
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1006/jeth.1996.2207
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- On an optimal consumption problem for \(p\)-integrable consumption plans
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- A multi-quality model of interest rates
- Optimal portfolio and consumption decisions in a stochastic environment with precommitment
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- A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES
- Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor
- On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging
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- An Optimal Consumption Problem for General Factor Models
- Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity
- EQUILIBRIUM WITH EXCESSIVE HOLDINGS CONSTRAINT: AN APPLICATION TO DC PENSION PLANS
- Superhedging problem under ratio constraint: BSDE approaches with Malliavin calculus
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- GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS
- Arbitrage and control problems in finance. A presentation
- Optimal investment and consumption with labor income in incomplete markets
- Optimal job switching and retirement decision
- Dynamic Spanning in the Consumption-Based Capital Asset Pricing Model
- Asset management with endogenous withdrawals under a drawdown constraint
- Time-consistent pension policy with minimum guarantee and sustainability constraint
- New stochastic fractional integral and related inequalities of Jensen-Mercer and Hermite-Hadamard-Mercer type for convex stochastic processes
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